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Futures Trading and the European Oil Market

Abstract:
The subject of this paper is the behavior of daily gas oil futures prices on the London-based International Petroleum Exchange (IPE). It reports results consistent with the hypothesis that prices on the IPE follow a random walk.

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Energy Specializations: Petroleum – Markets and Prices for Crude Oil and Products; Energy Investment and Finance – Trading Strategies and Financial Instruments

JEL Codes:
L13 - Oligopoly and Other Imperfect Markets
G13 - Contingent Pricing; Futures Pricing; option pricing

Keywords: gas and oil futures, Price behavior, IPE, random walk

DOI: 10.5547/ISSN0195-6574-EJ-Vol8-No3-8


Published in Volume 8, Number 3 of The Quarterly Journal of the IAEE's Energy Economics Education Foundation.